FINANCIAL OPTION PRICING: A GAME THEORETIC VIEW

This paper provides a new view how to model option pricing. In contrast to the assumption made by Black and Scholes [1] the stochastic process is no longer exogenously given. Interdependent actions of all parties involved are considered. As a consequence, both the option price and the underlying´s expiration price are endogenously determined. When strategic decision making is the driving force, then game theory is the appropriate analyzing tool.